Not entirely. Amazon was selling PSN content for a while, weren't they?
Right. Like how Steam is a huge failure?
Bad comparison. PSP Go would be a better comparison: it's a digital-only handheld, and it's a failure.
If SONY's going to push the PSP2 in the same direction as the PSP (aka. a console experience in the palms of your hands) then people aren't going to bite b/c $40+ is way more than the average consumer will pay for digital-only software.
Steam is the exception because of several things: 1) nearly every PC is connected to the Internet 24/7; 2) retail outlets barely stock PC games anymore; 3) Steam is FREE and offers a nearly identical experience to XBox LIVE.
Also, for the record: just because Steam is doing well, doesn't mean PC games are. Even triple-A games like Black Ops and Assassin's Creed Brotherhood sell extremely less numbers compared to their console counterparts, despite the fact that a lot more houses contain PC's versus next-gen consoles.
The average consumer just isn't ready for $40 digital-only game experiences, as evidenced by the PSP Go. If SONY does decide to go digital-only for PSP2, then they'd better take the money they're saving from bypassing retail and apply it to the price of the games to make them $30 or--preferably--less.